CNE5-Descriptor-Details

MSCIPortfolioManagementAnalyticsmsci.com©2012MSCIInc.Allrightsreserved.PleaserefertothedisclaimerattheendofthisdocumentRVJan20121of5ModelInsightCNE5DescriptorDetailsJuly2012BarraChinaEquityModel(CNE5)DescriptorDetailsJuly2012ThetenstylefactorsofCNE5compriseatotalof21descriptors.Thisdocumentdefinesthesedescriptorsandtheirweightsinthestylefactors.Thedescriptorsarelistedunderthestylefactorstowhichtheybelong.Style:BetaDefinition:1.00BETAComponents:BETAComputedastheslopecoefficientinatime-seriesregressionofexcessstockreturn,𝒓𝒕−𝒓𝒇𝒕,againstthecap-weightedexcessreturnoftheestimationuniverse𝑹𝒕,Beta(β)𝒓𝒕−𝒓𝒇𝒕=𝜶+𝜷𝑹𝒕+𝒆𝒕(1)Theregressioncoefficientsareestimatedoverthetrailing252tradingdaysofreturnswithahalf-lifeof63tradingdays.Style:MomentumDefinition:1.00RSTRComponents:RSTRComputedasthesumofexcesslogreturnsoverthetrailingT=504tradingdayswithalagofL=21tradingdays,Relativestrength𝑹𝑺𝑻𝑹=∑𝒘𝒕�𝒍𝒏(𝟏+𝒓𝒕)−𝒍𝒏�𝟏+𝒓𝒇𝒕��𝑻+𝑳𝒕=𝑳,(2)where,𝒓𝒕isthestockreturnondayt,𝒓𝒇𝒕istherisk-freereturn,and𝒘𝒕isanexponentialweightwithahalf-lifeof126tradingdays.Style:SizeDefinition:1.00LNCAPComponents:LNCAPComputedbythelogarithmofthetotalmarketcapitalizationofthefirm.NaturallogofmarketcapMSCIPortfolioManagementAnalyticsmsci.com©2012MSCIInc.Allrightsreserved.PleaserefertothedisclaimerattheendofthisdocumentRVJan20122of5ModelInsightCNE5DescriptorDetailsJuly2012Style:EarningsYieldDefinition:0.68·EPIBS+0.11·ETOP+0.21·CETOPComponents:EPIBSEarnings-to-priceratioforecastedbyanalysts.AnalystPredictedEarnings-to-PriceETOPComputedbydividingthetrailing12-monthearningsbythecurrentmarketcapitalization.Trailingearningsaredefinedasthelastreportedfiscal-yearearningsplusthedifferencebetweencurrentinterimfigureandthecomparativeinterimfigurefromthepreviousyear.Trailingearnings-to-priceratioCETOPComputedbydividingthetrailing12-monthcashearningsdividedbycurrentprice.Cashearnings-to-priceratioStyle:ResidualVolatilityDefinition:0.74·DASTD+0.16·CMRA+0.10·HSIGMAComponents:DASTDComputedasthevolatilityofdailyexcessreturnsoverthepast252tradingdayswithahalf-lifeof42tradingdays.DailystandarddeviationCMRAThisdescriptordifferentiatesstocksthathaveexperiencedwideswingsoverthelast12monthsfromthosethathavetradedwithinanarrowrange.Let𝒁(𝑻)bethecumulativeexcesslogreturnoverthepastTmonths,witheachmonthdefinedastheprevious21tradingdays,Cumulativerange𝒁(𝑻)=∑�𝒍𝒏(𝟏+𝒓𝝉)−𝒍𝒏�𝟏+𝒓𝒇𝝉��𝑻𝝉=𝟏,(3)where,𝒓𝝉isthestockreturnformonthτ(compoundedover21days)and𝒓𝒇𝝉istherisk-freereturn.Thecumulativerangeisgivenby,𝑪𝑴𝑹𝑨=𝒍𝒏(𝟏+𝒁𝒎𝒂𝒙)−𝒍𝒏(𝟏+𝒁𝒎𝒊𝒏),(4)where,𝒁𝒎𝒂𝒙=𝒎𝒂𝒙{𝒁(𝑻)},𝒁𝒎𝒊𝒏=𝒎𝒊𝒏{𝒁(𝑻)}T=1,...,12HSIGMAComputedasthevolatilityofresidualreturnsinEquation1,Historicalsigma(σ)𝝈=𝒔𝒕𝒅(𝒆𝒕).(5)Thevolatilityisestimatedoverthetrailing252tradingdaysofreturnswithahalf-lifeof63tradingdays.Note:TheResidualVolatilityfactorisorthogonalizedtoBetatoreducecollinearity.MSCIPortfolioManagementAnalyticsmsci.com©2012MSCIInc.Allrightsreserved.PleaserefertothedisclaimerattheendofthisdocumentRVJan20123of5ModelInsightCNE5DescriptorDetailsJuly2012Style:GrowthDefinition:0.47·SGRO+0.24·EGRO+0.18·EGIBS+0.11·EGIBS_sComponents:SGROAnnualreportedsalespershareareregressedagainsttimeoverthepastfivefiscalyears.Theslopecoefficientisthendividedbytheaverageannualsalespersharetoobtainthesalesgrowth.Salesgrowth(trailingfiveyears)EGROAnnualreportedearningspershareareregressedagainsttimeoverthepastfivefiscalyears.Theslopecoefficientisthendividedbytheaverageannualearningspersharetoobtaintheearningsgrowth.Earningsgrowth(trailingfiveyears)EGIBSLong-termearningsgrowthforecastedbyanalysts.Long-termPredictedEarningsGrowthEGIBS_sShort-termearningsgrowthforecastedbyanalysts.Short-termPredictedEarningsGrowthStyle:Book-to-PriceDefinition:1.00·BTOPComponents:BTOPLastreportedbookvalueofcommonequitydividedbycurrentmarketcapitalization.Book-to-PriceStyle:LeverageDefinition:0.38·MLEV+0.35·DTOA+0.27·BLEVComponents:MLEVComputedas,Marketleverage𝑴𝑳𝑬𝑽=𝑴𝑬+𝑷𝑬+𝑳𝑫𝑴𝑬,(6)where,𝑴𝑬isthemarketvalueofcommonequityonthelasttradingday,𝑷𝑬isthemostrecentbookvalueofpreferredequity,and𝑳𝑫isthemostrecentbookvalueoflong-termdebt.DTOAComputedas,Debt-to-assets𝑫𝑻𝑶𝑨=𝑻𝑫𝑻𝑨,(7)where,𝑻𝑫isthebookvalueoftotaldebt(long-termdebtandcurrentliabilities)and𝑻𝑨ismostrecentbookvalueoftotalassets.BLEVComputedasBookleverage𝑩𝑳𝑬𝑽=𝑩𝑬+𝑷𝑬+𝑳𝑫𝑩𝑬,(8)where,𝑩𝑬isthemostrecentbookvalueofcommonequity,𝑷𝑬isthemostrecentbookvalueofpreferredequity,and𝑳𝑫isthemostrecentbookvalueoflong-termdebt.MSCIPortfolioManagementAnalyticsmsci.com©2012MSCIInc.Allrightsreserved.PleaserefertothedisclaimerattheendofthisdocumentRVJan20124of5ModelInsightCNE5DescriptorDetailsJuly2012Style:LiquidityDefinition:0.35·STOM+0.35·STOQ+0.30·STOAComponents:STOMComputedasthelogofthesumofdailyturnoverduringtheprevious21tradingdays,Shareturnover,onemonth𝑺𝑻𝑶𝑴=𝐥𝐧�∑𝑽𝒕𝑺𝒕𝟐𝟏𝒕=𝟏�,(9)where,is𝑽𝒕thetradingvolumeonday𝒕and𝑺𝒕isthenumberofsharesoutstanding.STOQLet𝑺𝑻𝑶𝑴𝝉betheshareturnoverformonth𝝉,witheachmonthconsisti